Engle's ARCH-LM test: e²_t regressed on a constant and e²_{t−1} … e²_{t−lags}; LM = (n − lags)·R² against χ²(lags), as statsmodels' het_arch. On the standardised residuals, a small p-value says the model left ARCH behind.
het_arch
Engle's ARCH-LM test: e²_t regressed on a constant and e²_{t−1} … e²_{t−lags}; LM = (n − lags)·R² against χ²(lags), as statsmodels'
het_arch. On the standardised residuals, a small p-value says the model left ARCH behind.